Stock return volatility, operating performance and stock returns: International evidence on drivers of the 'low volatility' anomaly

► Low volatility firms earn higher stock returns in emerging and developed markets. ► Low volatility firms have stronger operating performance. ► Strong operating performance might explain the link between volatility and returns. ► The results hold across emerging and developed markets and across market conditions. ► The findings provide an explanation for the 'low volatility anomaly'.